After searching all over the internet, I still have no idea if it's possible to save the seeds, and how. Does anyone have any tips or pics?
I do believe it is possible. I have not personally done it. The site below has a page on growing Oakleaf Hydrangea from seed.I'm sure it is similar for you Annabelle. The page also has an email link. You could email them, and I be they would answer if you need more info.
Here is a link that might be useful: Hydrangea Web Site
It's WAY easier to grow hydrangeas from cuttings.